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控制理论和非线性滤波讨论班
Nonlinear Filtering Theory for McKean-Vlasov Type Stochastic Differential Equations
Nonlinear Filtering Theory for McKean-Vlasov Type Stochastic Differential Equations
组织者
演讲者
孙泽钜
时间
2024年01月12日 21:00 至 21:30
地点
Online
摘要
In this talk, we will consider estimation theory for partially observed stochastic dynamical systems whose state equations are given by McKean-Vlasov type stochastic differential equations and hence contain a measure term corresponding to the distribution of the solution of the state process. The measure term can be deterministic or stochastic and the observation may depend also on the measure term. For each case, we will derive the corresponding DMZ equation for the unnormalized conditional probability distribution of the state processes given the observations.